Jorgen-Vitting Andersen

WYKSZTAŁCENIE / EDUCATION

• 2007 – HDR Nice University
• 1988-1991 – Ph.D., Physics (1991), Technical university of Denmark (DTU)
• 1986-1988 – M.A., Physics (1988), University of Aarhus, Denmark
• 1982-1986 – Universities of Aarhus/Copenhagen, Denmark

PROJEKTY BADAWCZE / RESEARCH PROJECTS

Experimental and Quantitative Behavioral Economics / Finance
Game theory, computer simulations and real experiments of financial markets, are used to understand human decision making in a trading floor.

Systemic Risk
Contagion is studied via a non-linear pricing formula which has its origin in earthquake dynamics. The non-linear dynamics enable a way to detect cause and effect, without having to use statistical methods such as Granger causality. Rational expectations can be used to give an optimal estimation of the time for onset of systemic crises.

Prediction in Complex Systems/Financial Markets
Author of several papers suggesting detection of pockets of predictability in financial markets (cited in New Scientist, interviewed by BBC’s “Horizon” scientific flagship program).

Quantitative Behavioral Finance
Applying key concepts from Behavioral Finance, like consensus, anchoring, framing, in a quantitative manner to get new insights on human decision making in financial markets. Inventor of the term “Socio-Finance”, introduced in my book “An Introduction to Socio-Finance”, (Springer, 2013).

Portfolio Theory of Extreme Events
Development of an outstanding new Portfolio optimization technique for Non-Normal Distributed (Non-Gaussian) assets.

REDAKCJA / EDITORIAL BOARD

2012-…Journal of dynamics of socioeconomic systems               

2015-… Review in Physics     

2018-… PLoSONE                                                            

PRIZE

2017 The 29th Premio Anassilaos Arte Cultura Economia e Scienze attributed by Consiglio Regional della Calabria, Italy                                                                  

SELECTED INVITED TALKS in ECONO-PHYSICS

 “Social influence and financial markets”, invited speaker at “Social Influence” int. conf. Warsaw, Poland, March 2018.

“Using agent based models to predict human decision making in experiments”, invited speaker at “20 years of the Minority Game”, int. workshop, Fribourg, Switzerland, Dec. 2017

“Systemic Risk: using rational expectations to predict crises”, invited speaker at “Systemic Risk”, int. workshop, Benevento, Italy, Nov. 2017.

“Synchronization in human decision making” invited speaker at “Financial networks and the real economy: Dynamic of Socio-Economic Systems IV”, Int. workshop, Galway, Ireland, March 2017.

“Synchronization in human decision making” invited key note speaker at “Dynamic of Socio-Economic Systems IV”, Int. Conf.,  Havana University, Cuba, Oct. 2016.

“An introduction to Socio-Finance”, invited talk at “Intelligent Finance IV”, Int. Conf., Chinese Academy of Science, Chongqing, China, Dec. 2015.

“Synchronization in Finance”, invited talk at “Synchronization”, workshop, Warsaw University, Sept. 2015.

PUBLIKACJE / PUBLICATIONS

Artykuły w czasopismach / Articles in journals

Andersen J., Cavallo B., de Peretti P., Simonetti B., Squillante M., (2020), Special issue on dynamics of socioeconomic systems: systemic risk—complex systems, Soft Computing, Springer Verlag, 2020, 24 (18), pp.13515-13515. ⟨10.1007/s00500-020-05214-x⟩
[http://hal-paris1.archives-ouvertes.fr/hal-03029484/fr/]

Andersen J., De Peretti P., Cavallo B., Simonetti B., Squillante M., (2020), Special issue on dynamics of socioeconomic systems: systemic risk-finance, Soft Computing, Springer Verlag, 2020, ⟨10.1007/s00500-020-04983-9⟩
[http://hal-paris1.archives-ouvertes.fr/hal-03027227/fr/]

De Peretti P., Cavallo B., Simonetti B., Squillante M., Andersen J., (2020), Special issue on dynamics of socioeconomic systems: systemic risk—finance, Soft Computing, Springer Verlag, 2020, 24, pp.8503. ⟨10.1007/s00500-020-04983-9⟩
[http://hal-paris1.archives-ouvertes.fr/hal-02568547/fr/]

Lefort M., Shannin S., Andersen J., Vukusic S., Koch-Henriksen N., Lapland D., Butzkueven H., Magyari M., Kalincik T., Leray E., (2020), Understanding heterogeneity in comparative effectiveness studies of natalizumab and fingolimod in multiple sclerosis: effect of analytical methodology, European Journal of Neurology, Wiley, 2020, 27, pp.342-342
[https://hal.archives-ouvertes.fr/hal-02887182]

Andersen J., De Peretti P., (2020), Heuristics in experiments with infinitely large strategy spaces, Journal of Business Research, Elsevier, In press, ⟨10.1016/j.jbusres.2019.12.034⟩
[http://hal-paris1.archives-ouvertes.fr/hal-02435934/fr/]

Liu Y., Andersen J., De Peretti P., (2019), Synchronization in human decision-making, Chaos, Solitons and Fractals, Elsevier, 2019
[http://hal-paris1.archives-ouvertes.fr/hal-03029555/fr/]

Massad N., Andersen J., (2018), Three Different Ways Synchronization Can Cause Contagion in Financial Markets, Risks, MDPI, 2018, 6 (4), pp.104. ⟨10.3390/risks6040104⟩
[http://hal-paris1.archives-ouvertes.fr/hal-01951164/fr/]

Bellenzier L., Andersen J., Rotundo G., (2016), Contagion in the World’s Stock Exchanges Seen as a Set of Coupled Oscillators, Economic Modelling, Elsevier, 2016, 59, December 2016 (p.224-236)
[http://hal-paris1.archives-ouvertes.fr/hal-01215620/fr/]

Nowak A., Andersen J., Borkowski W., (2015), Dynamics of Socio-Economic Systems: Attractors, Rationality and Meaning, Review of Behavioral Economics, Now Publishers, 2015, 2 (1-2), pp.167-173. ⟨10.1561/105.00000026⟩
[http://hal-paris1.archives-ouvertes.fr/hal-01215581/fr/]

Savona R., Soumare M., Andersen J., (2015), Financial Symmetry and Moods in the Market, PLoS ONE, Public Library of Science, 2015, pp.1-21. ⟨10.1371/journal.pone.0118224⟩
[http://hal-paris1.archives-ouvertes.fr/hal-01215755/fr/]

Liu Y., Zhang W., Xu C., Andersen J., Xu H., (2014), Impact of information cost and switching of trading strategies in an artificial stock market, Physica A: Statistical and Theoretical Physics, Elsevier, 2014, 407, pp.204-215. ⟨10.1016/j.physa.2014.04.004⟩
[http://hal-paris1.archives-ouvertes.fr/halshs-01215947/fr/]

Andersen J., Vrontos I., Dellaportas P., Galam S., (2014), Communication impacting financial markets, EPL – Europhysics Letters, European Physical Society/EDP Sciences/Società Italiana di Fisica/IOP Publishing, 2014, pp.28007. ⟨10.1209/0295-5075/108/28007⟩
[http://hal-paris1.archives-ouvertes.fr/hal-01215750/fr/]

Roszczynska-Kurasinska M., Nowak A., Kamieniarz D., Solomon S., Andersen J., (2012), Short and Long Term Investor Synchronization Caused by Decoupling, PLoS ONE, Public Library of Science, 2012, 7 (12), pp.Online (1-8). ⟨10.1371/journal.pone.0050700⟩
[http://hal-paris1.archives-ouvertes.fr/hal-00853991/fr/]

Andersen J., (2011), Pricing Stocks with Yardsticks and Sentiments, Algorithmic Finance, Philip Maymin University of Bridgeport, 2011, Algorithmic Finance, 1 (2), pp.183-190. ⟨10.3233/AF-2011-013⟩ [http://hal-paris1.archives-ouvertes.fr/hal-01396611/fr/]

Andersen J., Andrzej N., Rotundo G., Parrott L., Sebastian M., (2011), “Price-Quakes” Shaking the World’s Stock Exchanges, PLoS ONE, Public Library of Science, 2011, Volume 6 (11 ), pp. e26472
[http://hal-paris1.archives-ouvertes.fr/hal-01396629/fr/]

Dzieło (w tym wydanie krytyczne i przekład) / Work (including critical edition and translation)

Andersen J., Nowak A., (2013), An introductory to Socio-Finance, Springer, pp.185, 2013, 978-3-642-41944-7
[http://hal-paris1.archives-ouvertes.fr/hal-00853994/fr/]

Inne publikacje / Other publication

Meng Y., Shen D., Xiong X., Andersen J., (2020), A Socio-Finance Model: The Case of Bitcoin, 2020
[http://hal-paris1.archives-ouvertes.fr/halshs-03048777/fr/]

Andersen J., Nowak A., (2020), Symmetry and financial Markets, 2020
[http://hal-paris1.archives-ouvertes.fr/halshs-03048686/fr/]

Massad N., Andersen J., (2019), Defining an intrinsic „stickiness” parameter of stock price returns, 2019
[http://hal-paris1.archives-ouvertes.fr/halshs-02385901/fr/]

Andersen J., Cerqueti R., Riccioni J., (2019), Rational expectations and stochastic systems, 2019
[http://hal-paris1.archives-ouvertes.fr/halshs-01673338/fr/]

Andersen J., De Peretti P., (2018), New method to detect convergence in simple multi-period market games with infinite large strategy spaces, 2018
[http://hal-paris1.archives-ouvertes.fr/halshs-01960900/fr/]

Massad N., Andersen J., (2017), Three different ways synchronization can cause contagion in financial markets, 2017
[http://hal-paris1.archives-ouvertes.fr/halshs-01673333/fr/]

Andersen J., De Peretti P., (2017), New method to detect convergence in simple multi-period market games, 2017
[http://hal-paris1.archives-ouvertes.fr/halshs-01673331/fr/]

Liu Y., Andersen J., Frolov M., De Peretti P., (2016), Synchronization in human decision making, 2016
[http://hal-paris1.archives-ouvertes.fr/halshs-01317407/fr/]

Nowak A., Andersen J., Borkowski W., (2015), Dynamics of Socio-Economic systems: attractors, rationality and meaning, 2015
[http://hal-paris1.archives-ouvertes.fr/halshs-01242298/fr/]

Bellenzier L., Andersen J., Rotundo G., (2015), Contagion in the world’s stock exchanges seen as a set of coupled oscillators, 2015
[http://hal-paris1.archives-ouvertes.fr/halshs-01242303/fr/]

Andersen J., Vrontos I., Dellaportas P., Galam S., (2015), A Socio-Finance Model: Inference and empirical application, 2015
[http://hal-paris1.archives-ouvertes.fr/halshs-01242248/fr/]

Liu Y., Zhang W., Xu C., Andersen J., Xu H., (2014), Impact of information cost and switching of trading strategies in an artificial stock market, 2014
[http://hal-paris1.archives-ouvertes.fr/halshs-00983051/fr/]

Andersen J., Vrontos I., Dellaportas P., Galam S., (2014), Communication impacting financial markets, 2014
[http://hal-paris1.archives-ouvertes.fr/halshs-00982959/fr/]

Savona R., Soumare M., Andersen J., (2014), Financial Symmetry and Moods in the Market, 2014
[http://hal-paris1.archives-ouvertes.fr/halshs-00983008/fr/]